The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process

20 May 2015

Papers citing "The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process"

2 / 2 papers shown

Title
Componentwise different tail solutions for bivariate stochastic recurrence equations -- with application to GARCH(1,1) processes -- E. Damek Muneya Matsui Witold 'Swikatkowski 58 12 0 19 Jun 2017
On the tail behavior of a class of multivariate conditionally heteroskedastic processes R. Pedersen Olivier Wintenberger 63 8 0 18 Jan 2017